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Zbl 1114.60047
Bo, Lijun; Zhang, Lidong; Wang, Yongjin
On the first passage times of reflected O-U processes with two-sided barriers. (English)
[J] Queueing Syst. 54, No. 4, 313-316 (2006). ISSN 0257-0130; ISSN 1572-9443/e

The Laplace transform of the first passage times of reflected Ornstein-Uhlenbeck processes with two-sided barriers is given. The results are derived by means of solving the related boundary value problem for the differential infinitesimal operator of the strong Markov Ornstein-Uhlenbeck process and by applying the normal-reflection conditions at the reflecting barriers.
[Pavel Gapeev (Berlin)]

MSC 2000:: *60H10 Stochastic ordinary differential equations
60G40 Optimal stopping
60J25 Markov processes with continuous parameter
60G15 Gaussian processes
90B05 Inventory management

Keywords: Ornstein-Uhlenbeck process; two-sided reflected process; first passage time; boundary value problem; normal reflection

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